Simultaneous pursuit of out-of-sample performance and sparsity in index tracking portfolios
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Cites work
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- A hybrid optimization approach to index tracking
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- Heuristics for cardinality constrained portfolio optimization
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- On the role of norm constraints in portfolio selection
- Portfolio optimization problem under concave transaction costs and minimal transaction unit constraints
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- Robust portfolio optimization with a hybrid heuristic algorithm
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- Sparse and stable Markowitz portfolios
Cited in
(33)- Tracking hedge funds returns using sparse clones
- Solving norm constrained portfolio optimization via coordinate-wise descent algorithms
- A two-stage approach to the UCITS-constrained index-tracking problem
- Optimal construction and rebalancing of index-tracking portfolios
- DC formulations and algorithms for sparse optimization problems
- Sparse mean-variance customer Markowitz portfolio optimization for Markov chains: a Tikhonov's regularization penalty approach
- Solving nonnegative sparsity-constrained optimization via DC quadratic-piecewise-linear approximations
- Optimal portfolio selections via \(\ell_{1, 2}\)-norm regularization
- Polynomial goal programming and particle swarm optimization for enhanced indexation
- Algorithms for \(l_{1}\)-norm minimisation of index tracking error and their performance
- Robust and sparse portfolio model for index tracking
- On solutions of sparsity constrained optimization
- On the minimization over sparse symmetric sets: projections, optimality conditions, and algorithms
- Projection algorithms for nonconvex minimization with application to sparse principal component analysis
- On comparing the influences of exogenous information on bitcoin prices and stock index values
- A generalized description length approach for sparse and robust index tracking
- Sparse Portfolios for High-Dimensional Financial Index Tracking
- An index tracking model with stratified sampling and optimal allocation
- Sparse index tracking using sequential Monte Carlo
- Sparse index clones via the sorted \(\ell_1\)-norm
- Index tracking based on sparse-group Lasso
- High-dimensional index tracking based on the adaptive elastic net
- Cardinality versus \(q\)-norm constraints for index tracking
- High-dimensional sparse index tracking based on a multi-step convex optimization approach
- Robust enhanced indexation optimization with sparse industry Layout constraint
- Norm constrained minimum variance portfolios with short selling
- Regularized distributionally robust optimization with application to the index tracking problem
- Robust portfolio selection for sparse index tracking under no short-selling and full investment constraints
- An augmented Lagrangian approach to bi-level optimization via a smooth equilibrium constrained problem
- An exact algorithm for a cardinality-constrained index tracking model considering investment preferences in portfolio optimization
- A distributionally robust machine learning model of simultaneous classification and feature selection under data uncertainty: theory, methods, and application to the identification of Alzheimer's disease using handwriting
- Distributionally robust sparse portfolio selection
- Cardinality-constrained maximal predictability portfolios with an _2 regularization
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